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A growing body of literature in networked systems research relies on game theory and mechanism design to model and address the potential lack of cooperation between self-interested users. Most game-theoretic models applied to system…
We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state…
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the…
Climate change is a major threat to the future of humanity, and its impacts are being intensified by excess man-made greenhouse gas emissions. One method governments can employ to control these emissions is to provide firms with emission…
We consider networks of banks with assets and liabilities. Some banks may be insolvent, and a central bank can decide which insolvent banks, if any, to bail out. We view bailouts as an optimization problem where the central bank has given…
The optimal offloading of tasks in heterogeneous edge-computing scenarios is of great practical interest, both in the selfish and fully cooperative setting. In practice, such systems are typically very large, rendering exact solutions in…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
In the contemporary digital landscape, cybersecurity has become a critical issue due to the increasing frequency and sophistication of cyber attacks. This study utilizes a non-zero-sum game theoretical framework to model the strategic…
The model of congestion games is widely used to analyze games related to traffic and communication. A central property of these games is that they are potential games and hence posses a pure Nash equilibrium. In reality it is often the case…
This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default…
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
We provide an overview of the relationship between financial networks and systemic risk. We present a taxonomy of different types of systemic risk, differentiating between direct externalities between financial organizations (e.g.,…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
Exploring measures to improve financial networks and mitigate systemic risks is an ongoing challenge. We study claims trading, a notion defined in Chapter 11 of the U.S. Bankruptcy Code. For a bank $v$ in distress and a trading partner $w$,…
Lending decisions are usually made with proprietary models that provide minimally acceptable explanations to users. In a future world without such secrecy, what decision support tools would one want to use for justified lending decisions?…
In diffusion auctions, sellers can leverage an underlying social network to broaden participation, thereby increasing their potential revenue. Specifically, sellers can incentivise participants in their auction to diffuse information about…
We investigate infection-curing games on a network epidemics model based on the classical Polya urn scheme that accounts for spatial contagion among neighbouring nodes. We first consider the zero-sum game between competing agents using the…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
We consider a strategic game, where players submit jobs to a machine that executes all jobs in a way that minimizes energy while respecting the given deadlines. The energy consumption is then charged to the players in some way. Each player…